Mortgage-Backed Securities Basics

See how prepayment shapes a mortgage pass-through: monthly cash flows split into scheduled principal, prepayment and interest under a PSA or CPR speed or a refinancing model, with weighted-average life, yield and duration at several speeds, and the price as rates move.

Learning focus: contraction and extension risk, and why MBS lag Treasuries when rates fall.

Pool

Balance

Price

WAC

Net coupon

WAM

Age

Prepayment

Speed

PSA

Mortgage rate today

Duration shift

The refinancing model is a teaching S-curve: CPR rises from 6% toward 41% as the WAC climbs above the mortgage rate, seasoned over 30 months.

Yield

5.906%

bond-equivalent, at 101.000

Weighted-average life

8.55 years

stated maturity 29.8 years

Modified duration

5.88

cash flows held fixed

Effective duration

4.79

refinancing model, ±50 bp

Effective convexity

−266.2

Prepaid over the life

78.6%

78,577,116

Cash flows by year

Investors receive the net coupon on the remaining balance, the scheduled principal of the level mortgage payments, and every prepayment. The monthly table is below.

When rates move

If mortgage rates fall 200bp, refinancing pushes the CPR to about 33% and the average life contracts from 7.1 to 3.4 years: you get principal back at par just when it would be worth more, so the price rises only to 106.55 against 112.47 for fixed cash flows. If they rise 200bp, prepayments slow to about 7% and the life extends to 10.8 years, so you hold more of a below-market coupon for longer. That is negative convexity: it is why MBS lag Treasuries in a rally.

The rates that discount the cash flows and the mortgage rate move together, and prepayments follow the refinancing model. CPRs shown are for a seasoned pool.

Yield and duration at several speeds

PSA	Weighted-average life	Yield at 101.000	Modified duration
50	14.53 yrs	5.959%	8.61
100	11.29 yrs	5.937%	7.19
165	8.55 yrs	5.906%	5.88
250	6.39 yrs	5.865%	4.75
400	4.40 yrs	5.794%	3.55
600	3.15 yrs	5.705%	2.70

Bought above par, faster prepayment returns par sooner and cuts the yield. A quoted MBS yield is only as good as the speed assumed behind it.

Monthly cash flows

Month	Balance	CPR	Interest	Scheduled principal	Prepayment	Cash flow
1	100,000,000	1.32%	500,000	92,130	110,569	702,699
2	99,797,301	1.65%	498,987	92,526	138,142	729,654
3	99,566,633	1.98%	497,833	92,898	165,640	756,372
4	99,308,095	2.31%	496,540	93,246	193,041	782,828
5	99,021,808	2.64%	495,109	93,569	220,321	808,999
6	98,707,918	2.97%	493,540	93,866	247,457	834,862
7	98,366,595	3.30%	491,833	94,138	274,425	860,396
8	97,998,032	3.63%	489,990	94,383	301,203	885,577
9	97,602,446	3.96%	488,012	94,603	327,768	910,383
10	97,180,075	4.29%	485,900	94,795	354,097	934,793
11	96,731,182	4.62%	483,656	94,961	380,168	958,785
12	96,256,053	4.95%	481,280	95,100	405,959	982,339
13	95,754,995	5.28%	478,775	95,211	431,446	1,005,433
14	95,228,337	5.61%	476,142	95,295	456,610	1,028,047
15	94,676,432	5.94%	473,382	95,352	481,428	1,050,162
16	94,099,652	6.27%	470,498	95,380	505,880	1,071,758
17	93,498,392	6.60%	467,492	95,381	529,945	1,092,818
18	92,873,066	6.93%	464,365	95,353	553,603	1,113,322
19	92,224,109	7.26%	461,121	95,298	576,835	1,133,253
20	91,551,977	7.59%	457,760	95,214	599,621	1,152,595
21	90,857,142	7.92%	454,286	95,102	621,942	1,171,330
22	90,140,098	8.25%	450,700	94,962	643,782	1,189,444
23	89,401,354	8.58%	447,007	94,794	665,121	1,206,922
24	88,641,439	8.91%	443,207	94,597	685,944	1,223,749
25	87,860,897	9.24%	439,304	94,373	706,235	1,239,912
26	87,060,289	9.57%	435,301	94,121	725,977	1,255,399
27	86,240,192	9.90%	431,201	93,841	745,155	1,270,197
28	85,401,196	9.90%	427,006	93,533	737,901	1,258,439
29	84,569,763	9.90%	422,849	93,226	730,711	1,246,786
30	83,745,825	9.90%	418,729	92,920	723,587	1,235,237
31	82,929,318	9.90%	414,647	92,615	716,527	1,223,789
32	82,120,175	9.90%	410,601	92,312	709,531	1,212,443
33	81,318,333	9.90%	406,592	92,009	702,598	1,201,198
34	80,523,726	9.90%	402,619	91,707	695,727	1,190,053
35	79,736,292	9.90%	398,681	91,406	688,918	1,179,006
36	78,955,968	9.90%	394,780	91,106	682,171	1,168,057
37	78,182,690	9.90%	390,913	90,808	675,485	1,157,206
38	77,416,398	9.90%	387,082	90,510	668,859	1,146,451
39	76,657,029	9.90%	383,285	90,213	662,293	1,135,791
40	75,904,522	9.90%	379,523	89,917	655,787	1,125,226
41	75,158,818	9.90%	375,794	89,622	649,339	1,114,755
42	74,419,857	9.90%	372,099	89,328	642,950	1,104,377
43	73,687,579	9.90%	368,438	89,035	636,618	1,094,091
44	72,961,926	9.90%	364,810	88,743	630,344	1,083,897
45	72,242,839	9.90%	361,214	88,452	624,126	1,073,793
46	71,530,261	9.90%	357,651	88,162	617,965	1,063,778
47	70,824,134	9.90%	354,121	87,873	611,860	1,053,853
48	70,124,401	9.90%	350,622	87,584	605,810	1,044,016
49	69,431,007	9.90%	347,155	87,297	599,814	1,034,267
50	68,743,896	9.90%	343,719	87,011	593,873	1,024,604
51	68,063,011	9.90%	340,315	86,725	587,986	1,015,027
52	67,388,299	9.90%	336,941	86,441	582,153	1,005,535
53	66,719,706	9.90%	333,599	86,157	576,372	996,128
54	66,057,177	9.90%	330,286	85,875	570,643	986,804
55	65,400,658	9.90%	327,003	85,593	564,967	977,564
56	64,750,098	9.90%	323,750	85,312	559,342	968,405
57	64,105,443	9.90%	320,527	85,033	553,769	959,328
58	63,466,642	9.90%	317,333	84,754	548,245	950,332
59	62,833,643	9.90%	314,168	84,476	542,772	941,416
60	62,206,395	9.90%	311,032	84,199	537,349	932,580
61	61,584,847	9.90%	307,924	83,922	531,975	923,822
62	60,968,950	9.90%	304,845	83,647	526,650	915,142
63	60,358,652	9.90%	301,793	83,373	521,374	906,540
64	59,753,906	9.90%	298,770	83,099	516,145	898,014
65	59,154,662	9.90%	295,773	82,827	510,964	889,564
66	58,560,871	9.90%	292,804	82,555	505,830	881,190
67	57,972,486	9.90%	289,862	82,284	500,743	872,890
68	57,389,459	9.90%	286,947	82,014	495,702	864,664
69	56,811,742	9.90%	284,059	81,745	490,707	856,511
70	56,239,289	9.90%	281,196	81,477	485,758	848,432
71	55,672,054	9.90%	278,360	81,210	480,854	840,424
72	55,109,990	9.90%	275,550	80,944	475,994	832,488
73	54,553,052	9.90%	272,765	80,678	471,179	824,623
74	54,001,195	9.90%	270,006	80,413	466,408	816,827
75	53,454,373	9.90%	267,272	80,150	461,680	809,102
76	52,912,543	9.90%	264,563	79,887	456,996	801,445
77	52,375,661	9.90%	261,878	79,625	452,354	793,857
78	51,843,682	9.90%	259,218	79,364	447,755	786,337
79	51,316,563	9.90%	256,583	79,103	443,198	778,884
80	50,794,262	9.90%	253,971	78,844	438,682	771,497
81	50,276,737	9.90%	251,384	78,585	434,208	764,177
82	49,763,944	9.90%	248,820	78,327	429,774	756,922
83	49,255,842	9.90%	246,279	78,071	425,382	749,731
84	48,752,390	9.90%	243,762	77,814	421,029	742,605
85	48,253,546	9.90%	241,268	77,559	416,716	735,543
86	47,759,271	9.90%	238,796	77,305	412,443	728,544
87	47,269,523	9.90%	236,348	77,051	408,209	721,608
88	46,784,263	9.90%	233,921	76,799	404,014	714,734
89	46,303,451	9.90%	231,517	76,547	399,857	707,921
90	45,827,047	9.90%	229,135	76,296	395,738	701,169
91	45,355,013	9.90%	226,775	76,045	391,657	694,478
92	44,887,311	9.90%	224,437	75,796	387,614	687,846
93	44,423,901	9.90%	222,120	75,547	383,608	681,274
94	43,964,746	9.90%	219,824	75,299	379,638	674,761
95	43,509,808	9.90%	217,549	75,052	375,705	668,307
96	43,059,051	9.90%	215,295	74,806	371,808	661,910
97	42,612,436	9.90%	213,062	74,561	367,947	655,570
98	42,169,928	9.90%	210,850	74,316	364,122	649,288
99	41,731,490	9.90%	208,657	74,073	360,331	643,061
100	41,297,086	9.90%	206,485	73,830	356,576	636,891
101	40,866,680	9.90%	204,333	73,587	352,855	630,776
102	40,440,237	9.90%	202,201	73,346	349,169	624,716
103	40,017,723	9.90%	200,089	73,106	345,516	618,710
104	39,599,101	9.90%	197,996	72,866	341,897	612,758
105	39,184,339	9.90%	195,922	72,627	338,311	606,860
106	38,773,401	9.90%	193,867	72,388	334,759	601,014
107	38,366,253	9.90%	191,831	72,151	331,239	595,221
108	37,962,863	9.90%	189,814	71,914	327,752	589,481
109	37,563,197	9.90%	187,816	71,679	324,297	583,791
110	37,167,221	9.90%	185,836	71,443	320,874	578,153
111	36,774,904	9.90%	183,875	71,209	317,482	572,566
112	36,386,213	9.90%	181,931	70,975	314,122	567,029
113	36,001,115	9.90%	180,006	70,743	310,793	561,541
114	35,619,579	9.90%	178,098	70,511	307,495	556,104
115	35,241,573	9.90%	176,208	70,279	304,227	550,715
116	34,867,067	9.90%	174,335	70,049	300,990	545,374
117	34,496,028	9.90%	172,480	69,819	297,782	540,082
118	34,128,427	9.90%	170,642	69,590	294,605	534,837
119	33,764,232	9.90%	168,821	69,362	291,456	529,639
120	33,403,414	9.90%	167,017	69,134	288,337	524,489
121	33,045,942	9.90%	165,230	68,908	285,247	519,384
122	32,691,787	9.90%	163,459	68,682	282,186	514,326
123	32,340,920	9.90%	161,705	68,456	279,153	509,314
124	31,993,311	9.90%	159,967	68,232	276,148	504,346
125	31,648,931	9.90%	158,245	68,008	273,171	499,424
126	31,307,752	9.90%	156,539	67,785	270,222	494,545
127	30,969,746	9.90%	154,849	67,562	267,300	489,711
128	30,634,883	9.90%	153,174	67,341	264,405	484,921
129	30,303,137	9.90%	151,516	67,120	261,538	480,173
130	29,974,479	9.90%	149,872	66,900	258,697	475,469
131	29,648,883	9.90%	148,244	66,680	255,882	470,807
132	29,326,320	9.90%	146,632	66,462	253,094	466,187
133	29,006,764	9.90%	145,034	66,244	250,332	461,609
134	28,690,189	9.90%	143,451	66,026	247,595	457,073
135	28,376,567	9.90%	141,883	65,810	244,884	452,577
136	28,065,872	9.90%	140,329	65,594	242,199	448,122
137	27,758,080	9.90%	138,790	65,379	239,538	443,708
138	27,453,162	9.90%	137,266	65,164	236,903	439,333
139	27,151,095	9.90%	135,755	64,951	234,292	434,998
140	26,851,853	9.90%	134,259	64,738	231,705	430,702
141	26,555,410	9.90%	132,777	64,525	229,143	426,445
142	26,261,742	9.90%	131,309	64,314	226,604	422,227
143	25,970,824	9.90%	129,854	64,103	224,090	418,047
144	25,682,631	9.90%	128,413	63,892	221,599	413,904
145	25,397,140	9.90%	126,986	63,683	219,131	409,800
146	25,114,326	9.90%	125,572	63,474	216,687	405,732
147	24,834,166	9.90%	124,171	63,266	214,265	401,702
148	24,556,635	9.90%	122,783	63,058	211,866	397,708
149	24,281,710	9.90%	121,409	62,851	209,490	393,750
150	24,009,369	9.90%	120,047	62,645	207,136	389,828
151	23,739,587	9.90%	118,698	62,440	204,804	385,942
152	23,472,343	9.90%	117,362	62,235	202,494	382,091
153	23,207,614	9.90%	116,038	62,031	200,206	378,275
154	22,945,377	9.90%	114,727	61,827	197,940	374,494
155	22,685,609	9.90%	113,428	61,625	195,695	370,747
156	22,428,290	9.90%	112,141	61,422	193,471	367,034
157	22,173,397	9.90%	110,867	61,221	191,268	363,355
158	21,920,909	9.90%	109,605	61,020	189,085	359,710
159	21,670,803	9.90%	108,354	60,820	186,924	356,098
160	21,423,060	9.90%	107,115	60,620	184,782	352,518
161	21,177,657	9.90%	105,888	60,422	182,661	348,971
162	20,934,574	9.90%	104,673	60,223	180,561	345,457
163	20,693,790	9.90%	103,469	60,026	178,479	341,974
164	20,455,284	9.90%	102,276	59,829	176,418	338,524
165	20,219,037	9.90%	101,095	59,633	174,376	335,104
166	19,985,028	9.90%	99,925	59,437	172,354	331,716
167	19,753,237	9.90%	98,766	59,242	170,351	328,359
168	19,523,644	9.90%	97,618	59,048	168,366	325,032
169	19,296,230	9.90%	96,481	58,854	166,401	321,736
170	19,070,975	9.90%	95,355	58,661	164,454	318,470
171	18,847,859	9.90%	94,239	58,469	162,526	315,234
172	18,626,865	9.90%	93,134	58,277	160,616	312,027
173	18,407,972	9.90%	92,040	58,086	158,724	308,850
174	18,191,162	9.90%	90,956	57,895	156,850	305,702
175	17,976,416	9.90%	89,882	57,705	154,995	302,582
176	17,763,716	9.90%	88,819	57,516	153,156	299,491
177	17,553,043	9.90%	87,765	57,327	151,336	296,428
178	17,344,380	9.90%	86,722	57,139	149,532	293,394
179	17,137,708	9.90%	85,689	56,952	147,746	290,387
180	16,933,010	9.90%	84,665	56,765	145,977	287,408
181	16,730,267	9.90%	83,651	56,579	144,225	284,456
182	16,529,463	9.90%	82,647	56,393	142,490	281,531
183	16,330,580	9.90%	81,653	56,208	140,771	278,633
184	16,133,600	9.90%	80,668	56,024	139,069	275,761
185	15,938,507	9.90%	79,693	55,840	137,383	272,916
186	15,745,283	9.90%	78,726	55,657	135,713	270,097
187	15,553,913	9.90%	77,770	55,475	134,060	267,304
188	15,364,379	9.90%	76,822	55,293	132,422	264,536
189	15,176,664	9.90%	75,883	55,111	130,800	261,794
190	14,990,753	9.90%	74,954	54,931	129,193	259,077
191	14,806,630	9.90%	74,033	54,750	127,602	256,385
192	14,624,278	9.90%	73,121	54,571	126,026	253,718
193	14,443,681	9.90%	72,218	54,392	124,466	251,076
194	14,264,823	9.90%	71,324	54,213	122,920	248,457
195	14,087,690	9.90%	70,438	54,036	121,389	245,863
196	13,912,265	9.90%	69,561	53,858	119,873	243,293
197	13,738,533	9.90%	68,693	53,682	118,372	240,747
198	13,566,480	9.90%	67,832	53,506	116,886	238,223
199	13,396,088	9.90%	66,980	53,330	115,413	235,724
200	13,227,345	9.90%	66,137	53,155	113,955	233,247
201	13,060,235	9.90%	65,301	52,981	112,511	230,793
202	12,894,743	9.90%	64,474	52,807	111,081	228,362
203	12,730,855	9.90%	63,654	52,634	109,665	225,953
204	12,568,556	9.90%	62,843	52,461	108,263	223,567
205	12,407,832	9.90%	62,039	52,289	106,874	221,202
206	12,248,669	9.90%	61,243	52,118	105,499	218,860
207	12,091,053	9.90%	60,455	51,947	104,137	216,539
208	11,934,970	9.90%	59,675	51,776	102,788	214,239
209	11,780,405	9.90%	58,902	51,606	101,453	211,961
210	11,627,346	9.90%	58,137	51,437	100,130	209,704
211	11,475,779	9.90%	57,379	51,268	98,821	207,468
212	11,325,690	9.90%	56,628	51,100	97,524	205,252
213	11,177,066	9.90%	55,885	50,933	96,240	203,058
214	11,029,894	9.90%	55,149	50,766	94,968	200,883
215	10,884,160	9.90%	54,421	50,599	93,709	198,729
216	10,739,852	9.90%	53,699	50,433	92,462	196,594
217	10,596,957	9.90%	52,985	50,268	91,228	194,480
218	10,455,462	9.90%	52,277	50,103	90,005	192,385
219	10,315,354	9.90%	51,577	49,938	88,795	190,310
220	10,176,621	9.90%	50,883	49,775	87,596	188,254
221	10,039,250	9.90%	50,196	49,611	86,409	186,217
222	9,903,230	9.90%	49,516	49,449	85,234	184,199
223	9,768,547	9.90%	48,843	49,286	84,070	182,200
224	9,635,190	9.90%	48,176	49,125	82,918	180,219
225	9,503,147	9.90%	47,516	48,964	81,778	178,257
226	9,372,406	9.90%	46,862	48,803	80,648	176,313
227	9,242,955	9.90%	46,215	48,643	79,530	174,387
228	9,114,782	9.90%	45,574	48,483	78,422	172,480
229	8,987,877	9.90%	44,939	48,324	77,326	170,590
230	8,862,226	9.90%	44,311	48,166	76,241	168,718
231	8,737,820	9.90%	43,689	48,008	75,166	166,863
232	8,614,646	9.90%	43,073	47,850	74,102	165,025
233	8,492,694	9.90%	42,463	47,693	73,048	163,205
234	8,371,952	9.90%	41,860	47,537	72,005	161,402
235	8,252,410	9.90%	41,262	47,381	70,972	159,616
236	8,134,056	9.90%	40,670	47,226	69,950	157,846
237	8,016,881	9.90%	40,084	47,071	68,938	156,093
238	7,900,872	9.90%	39,504	46,916	67,936	154,357
239	7,786,020	9.90%	38,930	46,763	66,944	152,636
240	7,672,314	9.90%	38,362	46,609	65,961	150,932
241	7,559,743	9.90%	37,799	46,456	64,989	149,244
242	7,448,298	9.90%	37,241	46,304	64,026	147,572
243	7,337,968	9.90%	36,690	46,152	63,073	145,915
244	7,228,742	9.90%	36,144	46,001	62,130	144,274
245	7,120,612	9.90%	35,603	45,850	61,196	142,649
246	7,013,566	9.90%	35,068	45,699	60,271	141,038
247	6,907,596	9.90%	34,538	45,549	59,356	139,443
248	6,802,691	9.90%	34,013	45,400	58,450	137,863
249	6,698,841	9.90%	33,494	45,251	57,553	136,298
250	6,596,037	9.90%	32,980	45,103	56,665	134,748
251	6,494,270	9.90%	32,471	44,955	55,786	133,212
252	6,393,529	9.90%	31,968	44,807	54,916	131,691
253	6,293,806	9.90%	31,469	44,660	54,054	130,184
254	6,195,091	9.90%	30,975	44,514	53,202	128,691
255	6,097,376	9.90%	30,487	44,368	52,358	127,212
256	6,000,650	9.90%	30,003	44,222	51,522	125,748
257	5,904,906	9.90%	29,525	44,077	50,695	124,297
258	5,810,133	9.90%	29,051	43,933	49,877	122,860
259	5,716,323	9.90%	28,582	43,789	49,067	121,437
260	5,623,468	9.90%	28,117	43,645	48,265	120,027
261	5,531,558	9.90%	27,658	43,502	47,471	118,631
262	5,440,586	9.90%	27,203	43,359	46,685	117,247
263	5,350,541	9.90%	26,753	43,217	45,908	115,877
264	5,261,417	9.90%	26,307	43,075	45,138	114,520
265	5,173,203	9.90%	25,866	42,934	44,376	113,176
266	5,085,893	9.90%	25,429	42,793	43,622	111,845
267	4,999,478	9.90%	24,997	42,653	42,876	110,526
268	4,913,950	9.90%	24,570	42,513	42,137	109,220
269	4,829,300	9.90%	24,146	42,373	41,406	107,926
270	4,745,520	9.90%	23,728	42,234	40,683	106,645
271	4,662,603	9.90%	23,313	42,096	39,967	105,376
272	4,580,540	9.90%	22,903	41,958	39,258	104,119
273	4,499,324	9.90%	22,497	41,820	38,557	102,874
274	4,418,947	9.90%	22,095	41,683	37,863	101,640
275	4,339,402	9.90%	21,697	41,546	37,176	100,419
276	4,260,680	9.90%	21,303	41,410	36,496	99,209
277	4,182,773	9.90%	20,914	41,274	35,823	98,011
278	4,105,676	9.90%	20,528	41,139	35,158	96,825
279	4,029,379	9.90%	20,147	41,004	34,499	95,650
280	3,953,877	9.90%	19,769	40,869	33,847	94,486
281	3,879,160	9.90%	19,396	40,735	33,202	93,333
282	3,805,223	9.90%	19,026	40,602	32,564	92,191
283	3,732,058	9.90%	18,660	40,468	31,932	91,061
284	3,659,658	9.90%	18,298	40,336	31,307	89,941
285	3,588,016	9.90%	17,940	40,203	30,688	88,832
286	3,517,124	9.90%	17,586	40,072	30,076	87,733
287	3,446,977	9.90%	17,235	39,940	29,470	86,645
288	3,377,566	9.90%	16,888	39,809	28,871	85,568
289	3,308,886	9.90%	16,544	39,679	28,278	84,501
290	3,240,929	9.90%	16,205	39,548	27,692	83,445
291	3,173,689	9.90%	15,868	39,419	27,111	82,398
292	3,107,159	9.90%	15,536	39,289	26,537	81,362
293	3,041,333	9.90%	15,207	39,160	25,968	80,336
294	2,976,205	9.90%	14,881	39,032	25,406	79,319
295	2,911,766	9.90%	14,559	38,904	24,850	78,313
296	2,848,012	9.90%	14,240	38,776	24,300	77,316
297	2,784,937	9.90%	13,925	38,649	23,755	76,329
298	2,722,532	9.90%	13,613	38,522	23,216	75,351
299	2,660,794	9.90%	13,304	38,396	22,683	74,383
300	2,599,714	9.90%	12,999	38,270	22,156	73,425
301	2,539,288	9.90%	12,696	38,145	21,635	72,476
302	2,479,509	9.90%	12,398	38,019	21,119	71,536
303	2,420,371	9.90%	12,102	37,895	20,608	70,605
304	2,361,868	9.90%	11,809	37,770	20,103	69,683
305	2,303,994	9.90%	11,520	37,647	19,604	68,770
306	2,246,744	9.90%	11,234	37,523	19,109	67,866
307	2,190,111	9.90%	10,951	37,400	18,621	66,971
308	2,134,091	9.90%	10,670	37,277	18,137	66,085
309	2,078,676	9.90%	10,393	37,155	17,659	65,207
310	2,023,862	9.90%	10,119	37,033	17,186	64,338
311	1,969,643	9.90%	9,848	36,912	16,718	63,478
312	1,916,013	9.90%	9,580	36,791	16,255	62,626
313	1,862,968	9.90%	9,315	36,670	15,797	61,782
314	1,810,500	9.90%	9,053	36,550	15,344	60,947
315	1,758,606	9.90%	8,793	36,430	14,897	60,119
316	1,707,280	9.90%	8,536	36,310	14,454	59,300
317	1,656,516	9.90%	8,283	36,191	14,016	58,489
318	1,606,309	9.90%	8,032	36,073	13,582	57,686
319	1,556,654	9.90%	7,783	35,954	13,154	56,891
320	1,507,546	9.90%	7,538	35,836	12,730	56,104
321	1,458,980	9.90%	7,295	35,719	12,311	55,325
322	1,410,950	9.90%	7,055	35,602	11,897	54,553
323	1,363,452	9.90%	6,817	35,485	11,487	53,789
324	1,316,480	9.90%	6,582	35,368	11,081	53,032
325	1,270,030	9.90%	6,350	35,252	10,681	52,283
326	1,224,097	9.90%	6,120	35,137	10,284	51,542
327	1,178,676	9.90%	5,893	35,022	9,892	50,807
328	1,133,762	9.90%	5,669	34,907	9,505	50,080
329	1,089,351	9.90%	5,447	34,792	9,122	49,361
330	1,045,437	9.90%	5,227	34,678	8,743	48,648
331	1,002,016	9.90%	5,010	34,564	8,368	47,943
332	959,083	9.90%	4,795	34,451	7,998	47,244
333	916,634	9.90%	4,583	34,338	7,632	46,553
334	874,665	9.90%	4,373	34,225	7,270	45,868
335	833,170	9.90%	4,166	34,113	6,912	45,191
336	792,145	9.90%	3,961	34,001	6,558	44,520
337	751,586	9.90%	3,758	33,890	6,208	43,856
338	711,488	9.90%	3,557	33,778	5,862	43,198
339	671,848	9.90%	3,359	33,668	5,520	42,547
340	632,660	9.90%	3,163	33,557	5,182	41,903
341	593,921	9.90%	2,970	33,447	4,848	41,265
342	555,626	9.90%	2,778	33,337	4,518	40,633
343	517,770	9.90%	2,589	33,228	4,191	40,008
344	480,351	9.90%	2,402	33,119	3,869	39,389
345	443,364	9.90%	2,217	33,010	3,550	38,777
346	406,804	9.90%	2,034	32,902	3,234	38,170
347	370,667	9.90%	1,853	32,794	2,923	37,570
348	334,950	9.90%	1,675	32,687	2,615	36,976
349	299,649	9.90%	1,498	32,579	2,310	36,388
350	264,760	9.90%	1,324	32,473	2,009	35,806
351	230,278	9.90%	1,151	32,366	1,712	35,229
352	196,200	9.90%	981	32,260	1,418	34,659
353	162,522	9.90%	813	32,154	1,128	34,094
354	129,240	9.90%	646	32,049	841	33,536
355	96,351	9.90%	482	31,944	557	32,982
356	63,850	9.90%	319	31,839	277	32,435
357	31,734	9.90%	159	31,734	0	31,893

Payment delay (agency pass-throughs pay investors several weeks after homeowners pay) is ignored.